Momentum Strategy

Momentum Strategy - Quantitative Strategy Performance Report

Period: 2014-12-31 - 2025-07-21 Report generated: 2025-07-23 Code version: v2.0.0

Executive Summary

Strategy Overview

Strategy: Momentum Strategy
Period: 2014-12-31 to 2025-07-21
Total Trades: 5300

Strategy Performance

Total Return 1096.68%
Annualized Return 26.62%
Volatility 15.90%
Sharpe Ratio 1.44
Max Drawdown -10.65%

Strategy Risk Profile

Beta vs Benchmark -0.2040
Alpha vs Benchmark 26.51%
VaR (95%) -1.16%
Win Rate (Daily) 49.5%

Key Insights

  • Strong risk-adjusted returns with Sharpe ratio above 1.0
  • Reasonable drawdown control with maximum drawdown under 20%
  • Low win rate suggesting need for signal improvement
  • Strong positive alpha indicating skill-based returns

Strategy Overview

Strategy Characteristics

Strategy Type: Statistical Arbitrage
Asset Class: Equities
Trading Universe: S&P 500
Signal Frequency: Medium Frequency (100-1000 trades/year)
Holding Period: Short-term (<5 days)
Leverage: No leverage (100% cash)

Backtest Parameters

Start Date: 2014-12-31
End Date: 2025-07-21
Total Days: 3855
Initial Capital: $100,000
Data Source: Yahoo Finance

Execution Assumptions

Slippage: N/A (Not implemented)
Commission: N/A (Not implemented)
Liquidity Filters: N/A (Not implemented)
Execution Quality: N/A (Not implemented)

Strategy Description

This statistical arbitrage strategy operates in the equities market with a focus on S&P 500. The strategy employs medium frequency (100-1000 trades/year) signals with short-term (<5 days) holding periods, designed to capture market inefficiencies through systematic analysis of price patterns and market dynamics.

The backtest covers a 3855-day period from 2014-12-31 to 2025-07-21, starting with $100,000 in initial capital. The strategy would have led to a final value of $1,199,970, representing a 1100.0% return over the 3855-day backtest period. Execution costs and implementation details are not yet implemented in this backtest framework.

Key Performance Metrics - Strategy vs Benchmark

Strategy Performance

Metric Strategy Benchmark
(S&P 500)
Cumulative Return1096.68%206.62%
Annualized Return26.62%11.24%
Alpha26.51%0.00%
Sharpe Ratio1.440.62
Sortino Ratio2.950.78
Calmar Ratio2.150.35
Beta-0.20401.00

Strategy Risk Profile

Metric Strategy Benchmark
(S&P 500)
Volatility (Ann.)15.90%15.87%
Max Drawdown-10.65%-32.24%
Value-at-Risk (95%)-1.16%-1.60%
Value-at-Risk (99%)-1.89%-3.06%
Tail Risk-1.64%-2.46%
Win Rate (Daily)49.5%56.3%
Turnover1.86N/A

Period Performance - Strategy vs Benchmark

Note: All returns below are annualized (projected annual rate). For actual cumulative returns, see the Performance Chart above.

Period Return (Annualized) Volatility (Annualized)
Strategy Benchmark Strategy Benchmark
MTD 6.58% 50.78% 9.36% 6.99%
YTD 36.73% 12.65% 14.93% 23.62%
1Y 48.69% 12.53% 17.62% 19.70%
3Y 24.78% 17.58% 15.93% 16.66%
5Y 27.03% 14.39% 15.68% 16.55%
All Time 26.55% 11.22% 15.90% 15.87%

Performance Charts

Cumulative Performance (Base 100) - Strategy vs Benchmark

Performance Overview

Cumulative Drawdown from Peak

Note: Shows drawdown from the highest point reached. Negative values indicate decline from peak.

Returns Distribution

Note: Distribution of daily returns. Helps identify return patterns and outliers.

Risk & Volatility Analysis

Rolling Sharpe Ratio (60-Day Window)

Note: 60-day rolling window, annualized. Window adjusts for shorter datasets.

Rolling Beta (60-Day Window)

Note: 60-day rolling window. Shows how strategy's sensitivity to benchmark changes over time.

Correlation & Exposure Analysis

Strategy vs Benchmark Returns Scatter

Beta Calculation: β = Cov(Strategy Returns, Benchmark Returns) / Var(Benchmark Returns)

Portfolio Exposure Over Time

Note: Shows portfolio exposure and allocation changes over time.

Advanced Risk Metrics

Value-at-Risk Over Time

Calculation Method: 30-day rolling window historical VaR (5th percentile). The step-like appearance occurs because VaR changes only when the worst return in the rolling window changes. Note: Shows potential loss estimates at 95% confidence level.

Trade/Signal Summary

Signal Analysis

Metric Value
Daily Signal Hit Rate49.5%
Signals per Month20.9
Position Balance0.67
Signal Quality100.0%
Daily Turnover0.007
Daily Signal Hit Rate: Percentage of days with active signals that generated positive returns.
Signals per Month: Average number of trading days per month with active positions.
Position Balance: How evenly distributed positions are between assets (0=unbalanced, 1=perfectly balanced).
Signal Quality: Percentage of days when market signals aligned with strategy expectations.
Daily Turnover: Average daily change in position sizes.

Trade Execution

Metric Value
Total Trades Executed5300
Win Rate49.5%
Avg PnL per Trade0.0010 (≈$99)
Annualized Turnover1.9
Win Rate: Percentage of profitable trades (different from signal hit rate).
Avg PnL per Trade: Average profit/loss per trade in portfolio units.
Annualized Turnover: Total position changes per year.
Data Source: Daily Returns

Notes & Metadata

Additional Notes

This report was generated using historical data and backtest results.